Where shall equity exposures treated according to Articles 48(4), 471(2) and 495 (1) CRR be reported in COREP CR SA (C 07.00)?
According to the formula e4902_n, the possible risk weights for the exposure class ‘equity’ in template C 07.00 are 100%; 250%; 1250%.
[modified, from Q 3395]: A risk weight of 150% (row 240) is used in the legal framework of Article 495 (1) CRR which enables competent authorities to exempt certain categories of equity exposures from the IRB treatment until 31/12/2017. If this exemption is granted to an institution, the validation rule will be not respected. Should row 240 be excluded from this validation rule?
For the purposes of reporting in accordance with Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), the following shall apply:
First of all, equity exposures treated according to Article 48(4) of Regulation (EU) No 575/2013 (CRR) are exposures to financial sector entities.
The definition of a financial sector entity is provided in article 4 (1) point 27 CRR and includes both institutions and other kinds of counterparties.
Secondly, Article 133(3) CRR refers to investments in equity or regulatory capital instruments, issued by institutions (i.e. equity claims) and it excludes from its scope, among others, the exposures treated under Article 48(4) CRR. Therefore, these exposures are to be included in sheet 007 (institutions) of template C 07.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting).
Finally, the other equity exposures treated according to Article 48(4) CRR are in the scope of Article 133(1) of CRR and included in C 07.00, sheet 016 (equity exposures).
Equity holdings in insurance companies that are not deducted, but risk weighted according to article 471(2) of CRR shall be assigned to template C 07.00, sheet 016, row 260 (370%). Validation rule e4902_n has been amended accordingly.
Art. 495 (1) CRR was applicable until the end of 2017.